You can run it on proxmox if you want to mix non k8s machines onto the same hardware. All my k8s nodes are dedicated to running k8s only though, so there is no reason for me to have that extra step.
I would not run k8s on proxmox so you can run multiple nodes on the same machine though, the only reason I could really see to do that is if you only had one machine and you really wanted to keep your controller and worker nodes separate.